Marco Bee

University of Trento - Department of Economics and Management

Via Inama 5

I-38122 Trento

Italy

SCHOLARLY PAPERS

3

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Top 16,569

in Total Papers Downloads

3,160

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (3)

1.

An Improved Pairs Trading Strategy Based on Switching Regime Volatility

Number of pages: 25 Posted: 27 Jul 2015
Marco Bee and Giulio Gatti
University of Trento - Department of Economics and Management and University of Trento - Department of Economics and Management
Downloads 1,655 (11,056)

Abstract:

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Pairs trading, Gaussian mixture, Hidden Markov Model, Cointegration

2.

Copula-Based Multivariate Models with Applications to Risk Management and Insurance

Number of pages: 27 Posted: 12 Sep 2005
Marco Bee
University of Trento - Department of Economics and Management
Downloads 1,069 (21,587)
Citation 4

Abstract:

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Copula, Tail dependence, Loss model, Portfolio model

3.

On Maximum Likelihood Estimation of Operational Loss Distributions

University of Trento Department of Economics Working Paper No. 2005-03
Number of pages: 23 Posted: 23 Mar 2005
Marco Bee
University of Trento - Department of Economics and Management
Downloads 436 (71,773)
Citation 10

Abstract:

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Truncated distribution, Loss model, EM algorithm, Capital at Risk